How to focus on different windows across multi-monitors to hit a hotkey?
This is an issue with the window managers in Windows and MacOS. There's a chance that this might be addressable in Blender's source, but my guess is that it's a non-trivial problem. A work-around would be to try to force Windows or MacOS to use a behavior common in Linux window managers called "focus follows mouse", or "sloppy focus".

Unfortunately, this is not default behavior in either of those systems. In Windows, you can do it manually by tweaking the UserPreferenceMask in the registry. In Mac OS, it's complicated by the fact that you have the persistent menu bar at the top... but you should be able to get focus follows mouse using a utility like Zooom/2.